If you want to just be a relay, the issues are "less" dangerous. However,
you wouldn't run this on a network with sensitive stuff.....would you?
Really in this mode you are just a relay/router on the Tor network and you
pass traffic along to the next Tor relay.

You might have issues if you want to be an exit node. This mean you are an
exit point out of the Tor network, meaning your IP shows up in logs....
Traffic can be the exit point for traffic of good people trying to gain
anonymity. It can also be used by bad people trying to use the same
anonymity for attacking other systems/etc. You can control the exit
policies though to limit the type of traffic that can exit.

You can also act as a "bridge" provider of sorts. For those Tor clients that
can't reach the Tor network directly and pull the core nodes, you can
provide a list of those nodes to them. You have to let traffic directly to
your Tor bridge service though, so you'll open up a port for that. This
could attacked directly.

Another dangerous function of Tor is the capability of setting up Tor
services. Essentially you can have a service available "anonymously" on the
Tor network. This is really scary...considering you could have a service
(SSH, FTP, etc..) tunneled right into your network. The person connecting
externally would of course be anonymous too. They could then attack the
"service" you are providing...like a vulnerable FTP server or attack
accounts on SSH with weak passwords for example. If you are controlling
your instance, you have to set up the Tor services manually, so accidental
Tor services configurations should be easy to avoid.

Like any service you run on a system whether Windows or *nix, it would be a
good idea to harden the system. Just run the relay on a separate system and
only run the relay on it.